[R] fitCopula

From: Oden, Kevin <kevin.oden_at_wachovia.com>
Date: Fri, 22 Jun 2007 11:04:15 -0400


 I am using R 2.5.0 on windows XP and trying to fit copula. I see the following code works for some users, however my code crashes on the chol. Any suggestions?  

> mycop <- tCopula(param=0.5, dim=8, dispstr="ex", df=5)

> x <- rcopula(mycop, 1000)

> myfit <- fitCopula(x, mycop, c(0.6, 10), optim.control=list(trace=1),
method="Nelder-Mead")

  Nelder-Mead direct search function minimizer

function value for initial parameters = -1747.582044

  Scaled convergence tolerance is 2.6041e-05

Stepsize computed as 1.000000

Error in chol(x, pivot = FALSE) : the leading minor of order 2 is not positive definite  

Kevin D. Oden

e: kevin.oden_at_wachovia.com <mailto:kevin.oden_at_wachovia.com>  

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